The properties of Granger-causality tests are examined when applied to integrated time series. Recently presented results suggesting spurious causality in such circumstances are shown to be highly dependent upon the absence of deterministic terms from the causality testing equations. The analysis is completed by the examination of an alternative non-parametric causality test.

The paper focuses on establishing causation in regression analysis in observational settings. Simple static regression analysis cannot establish causality in the absence of a priori theory on possible causal mechanisms or controlled and randomized experiments. However, two regression based econometric techniques – instrumental variables and Granger causality can be used to test for causality gi...

We discuss the use of multivariate Granger causality in presence of redundant variables: the application of the standard analysis, in this case, leads to under estimation of causalities. Using the un-normalized version of the causality index, we quantitatively develop the notions of redundancy and synergy in the frame of causality and propose two approaches to group redundant variables: (i) for...

a r t i c l e i n f o JEL classification: C23 E44 Q43 Keywords: Crude oil shocks Stock market prices Panel data Asymmetric adjustment Granger causality This paper proposes a panel threshold cointegration approach to investigate the relationship between crude oil shocks and stock markets for the OECD and non-OECD panel from January 1995 to December 2009. Nonlinear cointegration is confirmed for ...

Granger causality analysis (GCA) has been well-established in the brain imaging field. However, the structural underpinnings and functional dynamics of Granger causality remain unclear. In this paper, we present fiber-centered GCA studies on resting state fMRI and natural stimulus fMRI datasets in order to elucidate the structural substrates and functional dynamics of GCA. Specifically, we extr...

T he Causal relationship between financial development and economic growth has received divergent views in the literature under the traditional Granger approach to causality using data from various countries. The more recent Toda and Yamamoto and Dolado and Lütkepohl (TYDL) approach to causality were used to investigate the causal relationship between financial development and econom...